Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0747
Annualized Std Dev 0.1442
Annualized Sharpe (Rf=0%) 0.5181

Row

Daily Return Statistics

Close
Observations 4309.0000
NAs 1.0000
Minimum -0.0934
Quartile 1 -0.0037
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0003
Quartile 3 0.0047
Maximum 0.0904
SE Mean 0.0001
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0006
Variance 0.0001
Stdev 0.0091
Skewness -0.0586
Kurtosis 13.8900

Downside Risk

Close
Semi Deviation 0.0066
Gain Deviation 0.0065
Loss Deviation 0.0071
Downside Deviation (MAR=210%) 0.0115
Downside Deviation (Rf=0%) 0.0064
Downside Deviation (0%) 0.0064
Maximum Drawdown 0.3660
Historical VaR (95%) -0.0130
Historical ES (95%) -0.0217
Modified VaR (95%) -0.0122
Modified ES (95%) -0.0122
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 2010-11-04 -0.3660 732 312 420
2020-02-18 2020-03-23 2020-08-18 -0.2562 128 25 103
2018-01-29 2018-12-24 2019-06-13 -0.1662 346 229 117
2011-05-20 2011-08-10 2011-12-20 -0.1117 149 57 92
2015-08-06 2015-08-25 2016-03-09 -0.1001 149 14 135

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 0.8 -0.1 0.5 -0.3 -0.5 -0.2 0.2 1 -0.4 0.7 -0.3 1.4
2005 0.2 0.9 -0.8 0.5 0.3 0.4 -0.5 0.4 0.6 -0.6 0.9 -0.7 1.6
2006 0.4 0.3 -0.3 0.1 0.6 -0.4 -0.6 0.5 -0.4 -0.8 -0.4 -0.5 -1.7
2007 0.7 0 0.2 -0.3 0.8 -0.1 1 0.4 0 -2.1 0.1 -1.1 -0.5
2008 1.4 -1.7 1.7 0.8 -0.1 0.4 0.1 -1.2 0.9 1.4 -5.7 1.4 -0.8
2009 -3.2 0.1 2.3 0.3 2.2 1.6 -0.1 -1 -1 -1.8 1.3 -1.2 -0.6
2010 0.8 0.7 0.5 -0.6 -0.2 0.1 0.4 1.8 0.2 -0.1 1.5 0 5.1
2011 0.7 -0.6 0.6 0.3 -1.1 0.7 -0.3 -0.4 -1 -1.9 -0.2 -0.6 -3.7
2012 0.8 -0.1 0.5 0.1 -1.8 1.8 -0.8 0.2 0.7 0.2 0.3 1.1 2.9
2013 0.8 0.3 -0.1 -0.3 -1.8 0.7 0.9 0.2 0.6 0.3 -0.2 -0.1 1.4
2014 -0.4 0.6 -0.1 -0.1 0.7 0.4 0.8 0.2 -0.6 0.7 -0.5 -1 0.6
2015 -1.9 0.3 0 0.9 0 1.2 0.1 -2.1 0 -0.9 0.6 -1.1 -3
2016 0.2 0.9 1.2 -0.1 0.8 -0.3 0.2 -0.1 1 -0.4 -0.7 -0.4 2.2
2017 -0.6 0.5 -0.2 -0.5 0.9 0.3 -0.1 0.4 -0.1 0.3 0.2 -0.1 0.8
2018 -0.4 -0.2 0.8 -0.8 0 -0.1 -1 0.1 -0.2 0.5 0.8 0.5 -0.1
2019 -0.3 -0.1 -0.2 -1.1 -1.4 0.5 -0.5 -0.1 -0.4 0.1 0 0 -3.5
2020 -1.2 -1.9 -2.2 -1.2 0.6 0 -0.1 0.1 0.6 -0.4 0.8 0.6 -4.1
2021 0.1 1 0.4 NA NA NA NA NA NA NA NA NA 1.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-30  50.6 SPY    113.  0.       -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
2 2004-02-02  50.7 SPY    114.  4.30e-3  -0.0164   0.0242   0.0813    0.324   -0.162  -0.0853 <NA>     NA    NA       NA
3 2004-02-04  51.4 SPY    113. -8.20e-3  -0.0046   0.0036   0.0647    0.322   -0.174  -0.116  <NA>     NA    NA       NA
4 2004-02-05  51.5 SPY    113.  2.90e-3  -0.0026   0.0056   0.0702    0.334   -0.179  -0.108  <NA>     NA    NA       NA
5 2004-02-06  51.9 SPY    114.  1.12e-2   0.0085   0.0135   0.0813    0.355   -0.165  -0.0926 <NA>     NA    NA       NA
6 2004-02-09  52.1 SPY    114.  3.00e-4   0.0045   0.0097   0.0759    0.372   -0.17   -0.102  <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart